A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models - Rilegato

Gallant, A. Ronald; White, Halbert

 
9780631157656: A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models
Rilegato
ISBN 10: 0631157654 ISBN 13: 9780631157656
Casa editrice: Blackwell Pub, 1988

Sinossi

Building on the great advances that have been made by statisticians and econometricians in the last 40 years, this study presents a unified theory of estimation and inference applicable to a variety of econometric estimators of the parameters of time-dependant heterogenous economic phenomena. The authors begin with a discussion of the underlying data generation processes, establishing the existence and consistency of the estimators of interest (including maximum likelihood method of moments, and m-estimators), under general conditions. They then move on to examine the property of near epoch dependence, the asymptotic normality of the estimators, and consistent estimators for the asymptotic covariance matrix. The book concludes with a presentation of the unified theory of inference and a consideration of directions for further research. The book should be of interest to researchers in economic and econometric theory and statistical modelling.

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Editore
Blackwell Pub
Data di pubblicazione
1988
Lingua
Inglese
ISBN 10 
0631157654
ISBN 13 
9780631157656
Rilegatura
Copertina rigida
Numero di pagine
176
Contatto del produttore
non disponibile
Persona responsabile
non disponibile